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Paris December 2008 Finance Meeting EUROFIDAI - AFFI (Archive)

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For more information on this conference,
please visit: http://www.affi.asso.fr/december2008us.html

Deadline Call for Papers: June 2, 2008

http://www.affi.asso.fr/files/doc_177.pdf
15,268 Total downloads | Link to this page

Viewing: 1 - 37 of 37 papers

1.

Long-Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence

Paris December 2008 Finance International Meeting Paper
Number of pages: 36 Posted: 23 Oct 2008 Last Revised: 26 Oct 2009
Working Paper Series
Joachim Grammig, Andreas Schrimpf and Michael Schuppli
Eberhard Karls Universität Tübingen, Bank for International Settlements (BIS) - Monetary and Economic Department and University of Muenster
Downloads 131
2.

Time-Varying Incentives in the Mutual Fund Industry

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI Paper
Number of pages: 42 Posted: 14 Oct 2008 Last Revised: 14 Mar 2013
Working Paper Series
Jacques Olivier and Anthony S. Tay
HEC Paris - Finance Department and Singapore Management University - School of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 121
3.

A Market for Weather Risk? Worlds in Conflicts and Compromising

Number of pages: 34 Posted: 14 Oct 2008 Last Revised: 16 Jun 2015
Working Paper Series
Isabelle Huault and Hélène Rainelli
Université Paris Dauphine and Université Paris I Panthéon-Sorbonne - Institut d'Administration des Entreprises de Paris (IAE Paris)
Downloads 227
4.

Price Discovery and Liquidity in the European CO2 Futures Market: An Intraday Analysis

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 31 Posted: 14 Oct 2008
Working Paper Series
Eva A. Benz and Jördis Hengelbrock
University of Bonn - Bonn Graduate School of Economics and University of Bonn - The Bonn Graduate School of Economics
Downloads 277
5.

The Conditional Relation between Fama-French Betas and Return

Schmalenbach Business Review, Forthcoming
Number of pages: 30 Posted: 14 Oct 2008 Last Revised: 30 Sep 2013
Accepted Paper Series
Stefan Koch and Christian Westheide
University of Bonn and University of Vienna - Department of Finance
Downloads 428
6.

CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 14 Oct 2008 Last Revised: 01 Oct 2020
Working Paper Series
Arturo Leccadito, Radu Tunaru and Giovanni Urga
Università degli Studi della Calabria, University of Sussex and Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and University of Bergamo, Italy
Downloads 208
7.

Rational and Behavioral Motives to Trade: Evidence from Reinvestment of Dividends and Tender Offer Proceeds

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 38 Posted: 14 Oct 2008 Last Revised: 25 Sep 2009
Working Paper Series
Markku Kaustia and Elias Henrikki Rantapuska
Aalto University School of Business and Aalto University
Downloads 204
8.

Trade Credit as a Signal of Quality

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 41 Posted: 14 Oct 2008
Working Paper Series
Eric de Bodt, Frederic Lobez and Jean-Christophe Statnik
NHH-Caltech, University of Lille II - GERME Research Center and Unniversity of Lille
Downloads 203
9.

Prop Ups During Lockups

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 68 Posted: 14 Oct 2008 Last Revised: 16 Mar 2011
Working Paper Series
Jens Martin
University of Amsterdam - Finance Group
Downloads 196
10.

Hierarchical Hidden Markov Structure for Dynamic Correlations: The Hierarchical RSDC Model

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 34 Posted: 14 Oct 2008 Last Revised: 16 Oct 2008
Working Paper Series
Charlot Philippe and Vêlayoudom Marimoutou
Universities of Marseille and Université de la Mediterraneé
Downloads 141
11.

The Political Determinants of the Cost of Equity: Evidence from Newly Privatized Firms

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 42 Posted: 14 Oct 2008 Last Revised: 26 Nov 2010
Working Paper Series
Hamdi Ben Nasr, Narjess Boubakri and Jean-Claude Cosset
HEC Montreal, American University of Sharjah - School of Business and Management and HEC Montreal

Multiple version iconThere are 3 versions of this paper

Downloads 133
12.

On the Modeling of Debt Maturity and Endogenous Default: A Caveat

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 17 Posted: 14 Oct 2008
Working Paper Series
Jean-Paul Decamps and Stephane Villeneuve
University of Toulouse 1 - Toulouse School of Economics (TSE) and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 115
13.

Are French Individual Investors Reluctant to Realize Their Losses?

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 27 Posted: 14 Oct 2008
Working Paper Series
Marie-Hélène Broihanne, Maxime Merli and Shaneera Boolel-Gunesh
Strasbourg University, LaRGE Research Center, EM Strasbourg Business School, Strasbourg University, LaRGE Research Center, EM Strasbourg Business School and University of Strasbourg - EM Strasbourg Business School
Downloads 104
14.

Stock Price and Systematic Risk Effects of Discontinuation of Corporate R&D Programs

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 35 Posted: 14 Oct 2008
Working Paper Series
Mohsen Saad and Zaher Zantout
American University of Sharjah and affiliation not provided to SSRN
Downloads 90
15.

Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

The Geneva Risk and Insurance Review, Vol. 36, No. 1, 2010
Number of pages: 40 Posted: 14 Oct 2008 Last Revised: 13 Nov 2013
Accepted Paper Series
Francois Quittard-Pinon and Rivo A Randrianarivony
EMLYON Business School and University of Rennes 1
Downloads 87
16.

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 50 Posted: 14 Oct 2008
Working Paper Series
Eric Jondeau
University of Lausanne - Faculty of Business and Economics (HEC Lausanne)

Multiple version iconThere are 2 versions of this paper

Downloads 24
17.

Rating Migrations: The Effect of History and Time

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Posted: 14 Oct 2008
Working Paper Series
Huong D. Dang and Graham Partington
University of Canterbury and University of Sydney - School of Business - Finance Discipline

Multiple version iconThere are 2 versions of this paper

18.

Shareholder Agreements and Firm Value: Evidence from French Listed Firms

Posted: 14 Oct 2008 Last Revised: 09 Feb 2020
Working Paper Series
Francois Belot
Université de Cergy-Pontoise
19.

On the Information Content of the Order Flow: An Experiment

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 35 Posted: 13 Oct 2008
Working Paper Series
Christophe Bisiere, Jean-Paul Decamps and Stefano Lovo
Universite de Toulouse - (IDEI - CRG), University of Toulouse 1 - Toulouse School of Economics (TSE) and HEC Paris - Finance Department
Downloads 69
20.

Top-Down Versus Bottom-Up Approaches in Risk Management

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 13 Oct 2008
Working Paper Series
Peter Grundke
University Osnabrück, Chair of Banking and Finance
Downloads 1,438
21.

Multiple Large Shareholders, Control Contests, and Implied Cost of Equity

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 46 Posted: 13 Oct 2008
Working Paper Series
Najah Attig, Omrane Guedhami and Dev R. Mishra
Saint Mary's University - Department of Finance & Management Science, University of South Carolina - Moore School of Business and University of Saskatchewan - Edwards School of Business
Downloads 453
22.

Jumps, Cojumps and Macro Announcements

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 34 Posted: 13 Oct 2008 Last Revised: 26 Aug 2009
Working Paper Series
Jerome Lahaye, Sébastien Laurent and Christopher J. Neely
Facultés Universitaires Notre-Dame de la Paix (FUNDP), AMSE and Federal Reserve Bank of St. Louis - Research Division
Downloads 390
23.

Regulating the Financial Analysis Industry: Is the European Directive Effective?

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 58 Posted: 13 Oct 2008 Last Revised: 14 May 2011
Working Paper Series
Michel Dubois and Pascal Dumontier
University of Neuchatel - Institute of Financial Analysis and University of Grenoble

Multiple version iconThere are 2 versions of this paper

Downloads 207
24.

ADR Spreads and Their Informational Content: The Role of Relative US Investor Sentiment

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 42 Posted: 13 Oct 2008 Last Revised: 27 Nov 2008
Working Paper Series
Georgios Gatopoulos
The American College of Greece & IOBE - Foundation for Economic and Industrial Research
Downloads 189
25.

On the Use of Financial and Extra-Financial Information

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 41 Posted: 13 Oct 2008 Last Revised: 30 Oct 2008
Working Paper Series
Marie-Hélène Bihr
University of Angers - Centre de Recherches Appliquées à la Gestion (CERAG)
Downloads 158
26.

Conditional Skewness of Aggregate Market Returns

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 32 Posted: 13 Oct 2008
Working Paper Series
Anchada Aida Charoenrook and Hazem Daouk
Thammasat University and Cornell University - School of Applied Economics and Management

Multiple version iconThere are 2 versions of this paper

Downloads 132
27.

The Credit Risk Premium in a Disaster-Prone World

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 21 Posted: 13 Oct 2008
Working Paper Series
Laurence Copeland and Yanhui Zhu
Cardiff University - Cardiff Business School and Cardiff University - Cardiff Business School - Economics Section

Multiple version iconThere are 2 versions of this paper

Downloads 81
28.

A Smoke Screen Theory of Financial Intermediation

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 31 Posted: 13 Oct 2008
Working Paper Series
Regis Breton
Banque de France
Downloads 80
29.

Consumption and Portfolio Choice with Option-Implied State Prices

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 1 Posted: 13 Oct 2008
Working Paper Series
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 57
30.

Contributions to the Estimation of Mixed-State Conditionally Heteroscedastic Latent Factor Models: A Comparative Study

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 27 Posted: 13 Oct 2008
Working Paper Series
Mohamed Saidane and Christian Lavergne
Université Montpellier II and University of Montpellier III Paul Valéry
Downloads 41
31.

Welfare Implications of Exchange Rate Changes

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 42 Posted: 13 Oct 2008
Working Paper Series
Luis Brandao-Marques
International Monetary Fund - Monetary and Capital Markets Department
Downloads 31
32.

A Jump-Diffusion Nominal Short Rate Model

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Posted: 13 Oct 2008 Last Revised: 03 Apr 2012
Working Paper Series
Sami Attaoui and Pierre Six
NEOMA Business School and Neoma Business School
33.

Dispersed Macroeconomic Information: Announcements, Revisions & Stock Returns

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Posted: 13 Oct 2008
Working Paper Series
Thomas Gilbert
University of Washington - Department of Finance and Business Economics

Multiple version iconThere are 2 versions of this paper

34.

Stock Market Comovements and Industrial Structure

INSEAD Working Paper No. 2008/53
Number of pages: 41 Posted: 26 Aug 2008 Last Revised: 29 Dec 2008
Working Paper Series
Pushan Dutt and Ilian Mihov
INSEAD - Economics and Political Sciences and INSEAD
Downloads 166
35.

Common Risk Factors in Currency Markets

Review of Financial Studies ( 2011), 24(11), .
Number of pages: 74 Posted: 01 Jun 2008 Last Revised: 27 Aug 2012
Accepted Paper Series
Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 7,704
36.

Portfolio Policies with Stock Options

Number of pages: 40 Posted: 04 Mar 2008 Last Revised: 15 Feb 2009
Working Paper Series
Yuliya Plyakha and Grigory Vilkov
Universite du Luxembourg - School of Finance and Frankfurt School of Finance & Management
Downloads 689
37.

Derivatives Clearing, Default Risk, and Insurance

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 39 Posted: 28 Feb 2008 Last Revised: 14 Mar 2013
Working Paper Series
Robert A. Jones and Christophe Perignon
Simon Fraser University (SFU) - Department of Economics and HEC Paris - Finance Department
Downloads 694